simulparametri.m

来自「统计工具软件」· M 代码 · 共 34 行

function [svar] = simulparametri(DR,RC,X,delta,valuta,legame,vm,tipo,rendimento)

%SIMULPARAMETRI	simulvar estimation changing the parameters.
%
%	[svar] = simulparametri(DR,RC,X,delta,valuta,legame,vm,tipo,rendimento)
%   calculates historical simulation VaR whith changing probability (0.80 -
%   0.99) and holding period (2 - 40 days).
%
%	All data must be in columns.
%
%	See SIMULVAR
%

%	Copyright (c) 2004 by Flavio Bazzana
%   Department of Computer and Management Sciences
%   University of Trento
%   38100 - Trento ITALY
%   [e-mail]

for i=1:20
	for j=1:20
		t=i*2;
		p=0.79+j/100;
		svar(i,j)=simulvar(DR,RC,X,delta,valuta,legame,vm,t,p,tipo,rendimento);
	end
end
t=2:2:40;
p=0.80:0.01:0.99;
surf(t,p,svar)
title('simul-VaR')
xlabel('holding period (days)')
ylabel('confidence level (probability)')
zlabel('VaR')